Skip to Content
Symphonies
Overfit PoS l 26 July 2002
Today’s Change
—

A symphony is an automated trading strategy — Learn more about symphonies here

About

A simple switch: own SPY when markets are calm; move to long‑term U.S. Treasury bonds (TLT) when recent S&P 500 volatility spikes.
NutHow it works
It watches how bumpy the S&P 500 has been over the last ~2 weeks. If daily moves have been unusually large, it shifts all money into long‑term U.S. Treasury bonds (TLT). If things are calm, it stays fully in the S&P 500 (SPY). It holds only one of the two at a time.
CheckmarkValue prop
Out-of-sample, this volatility-driven switch yields higher risk-adjusted returns vs the S&P 500, with similar drawdowns. It stays in SPY in calm markets and moves to TLT during spikes—cutting losses while keeping upside.
1M
3M
6M
YTD
1Y
3Y
Max
www.composer.trade
Performance
Compared to selected benchmarks
AlphaBetaR2R
SPY
0.070.680.570.76
Performance Metrics
Cumulative ReturnAnnualized ReturnTrailing 1M ReturnTrailing 3M ReturnSharpe Ratio
SPY
1,107.98%11.13%-1.77%0.2%0.65
Overfit PoS l 26 July 2002
2,370.04%14.55%-1.77%0.2%0.89
Initial Investment
$10,000.00
Final Value
$247,004.12
Regulatory Fees
$24.33
Total Slippage
$165.63
Invest in this strategy
OOS Start Date
May 7, 2023
Trading Setting
Threshold 1%
Type
Stocks
Category
Tactical asset allocation, volatility filter, risk-on/risk-off, stocks vs bonds
Tickers in this symphonyThis symphony trades 2 assets in total
Ticker
Type
SPY
State Street SPDR S&P 500 ETF Trust
Stocks
TLT
iShares 20+ Year Treasury Bond ETF
Stocks

FAQ

A Composer symphony is an automated trading strategy that executes trades based on parameters of your choice. Some symphonies are similar to holding one ETF in normal conditions and rotating to a different ETF when market conditions shift, for example a 5% drop in the S&P 500, while others use complex rules with dozens of triggers. However, complex doesn’t always mean better. A simple, well-structured symphony can be just as effective as an intricate one. Learn more about how symphonies work here.

"Overfit PoS l 26 July 2002" is currently performing the same as yesterday today. Performance updates in real time during market hours.

"Overfit PoS l 26 July 2002" is currently allocated toSPY. Holdings automatically adjust as market conditions change based on the strategy's rules.

Year-to-date, "Overfit PoS l 26 July 2002" has returned 19.85%. You can adjust the performance chart above to view returns across different time horizons.

The maximum drawdown for "Overfit PoS l 26 July 2002" is 18.76%. The maximum drawdown measures the largest peak-to-trough decline. It's an important metric to evaluate risk and the strategy's behavior during market stress.

To invest in "Overfit PoS l 26 July 2002", simply click the Invest button on this page. You'll need to open an account with Composer if you don't have one yet, then you can start investing. Composer will automatically execute the trades for you based on the strategy's rules. Composer also supports trading individual stocks, ETFs, and options.